Workgroup Financial Mathematics
print


Breadcrumb Navigation


Content

Angewandte Finanzmathematik: From Discrete to Continuous Time Models

Dr. Ari-Pekka Perkkiö


Schedule and Venue

Lectures

Dr. Ari-Pekka Perkkiö

Mon 12.00 - 14.00

First Lecture: Mon 17.10.16

Room B 006


Exercises

Dr. Ari-Pekka Perkkiö

Mon 14.00 - 16.00

First Exercise: Mon 24.10.16

Room B 006

Final Exam

Mon 27.02.2017 14.00 - 16.00

Room B 006

Retake Exam

On Request

TBA


Course Description

Utility maximization, indifference pricing, and related dual optimization problems in discrete time mathematical finance. Convergence of discrete time models to the continuous time Black & Scholes model.


References

H. Föllmer, A. Schied: Stochastic Finance: An Introduction in Discrete Time.

O. Kallenberg: Foundations of Modern Probability.

R.T. Rockafellar: Conjugate Duality and Optimization


For whom is this course?

Target Participants: Bachelor students of Business Mathematics or Mathematics. Master students are also welcome.

Pre-requisites: Probability Theory. Finanzmathematik I. No preliminary knowledge of continuous time mathematical finance is required.

Applicable credits:

This course can be recognized as "Angewandte Finanzmathematik" (6 ECTS) for Bachelor students of Wirtschaftsmathematik.

This course can be recognized as "Fortgeschrittene Themen aus der Finanzmathematik B" (6 ECTS) for Master students of Finanz- und Versicherungsmathematik.

This course can be recognized as "Vertiefung in aktuelle mathematische Forschungsgebiete G, WP 47.2 + WP 47.3" (6 ECTS) for Master students of Mathematik.


Exercises and lectures notes

The lecture notes are updated weekly on monday evenings.
Exercises can be found from the lecture notes. The bachelor course  and  the master courses have different set of exercises. Parts in the exercises that are only for master students are marked with an asterisk*.
Exercise session 1 (24.10.2016). Exercises 2.2.1, 2.2.2, and 2.2.3 in the lecture notes.
Exercise session 2 (31.10.2016). Exercises 2.3.1, 2.3.2, and 2.3.3 in the lecture notes.
Exercise session 3 (7.11.2016). Exercises 3.1.1, 3.1.2, 3.1.3, and 3.1.4 in the lecture notes.
Exercise session 4 (21.11.2016). Exercises 3.1.5, 3.1.6, 3.1.7, and 3.1.8 in the lecture notes.

Exercise session 5 (28.11.2016). Exercises 4.1.1, 4.1.2 and 4.1.3 in the lecture notes.

Exercise session 6 (5.12.2016). Exercises 4.2.1, 4.2.2 and 4.2.3 in the lecture notes.

Exercise session 7 (12.12.2016). Exercises 5.1.1, 5.1.2 and 5.1.3 in the lecture notes

Exercise session 8 (9.1.2017). Exercises 5.2.1, 5.2.2, 5.2.3 and 5.2.4 in the lecture notes

Exercise session 9 (16.1.2017). Exercises 5.3.1, 5.3.2, and 5.3.3 in the lecture notes

Exercise session 10 (23.1.2017). Exercises 5.4.1, 5.4.2, and 5.4.3 in the lecture notes


Final Exam

The final exam is a 120 minutes written exam. The bachelor course and the master courses have different exams.

Exam 27.2.2017

Downloads